Accounting anomalies and fundamental analysis: An alternative view

• 成果类型: Article
• 署名作者: Lewellen, Jonathan
• 署名单位: Dartmouth College
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2010.09.007
• 发表日期: 2010
• 关键词: CONSUMPTION-BASED EXPLANATION; asset price dynamics; CROSS-SECTIONAL TEST; CONTRARIAN INVESTMENT; corporate-investment; FULLY REFLECT; expected rate; stock-prices; RISK; GROWTH

摘要

The literature on accounting anomalies and fundamental analysis provides important insights into the behavior of stock prices and the relation between accounting numbers and firm value. My review discusses five key topics from this literature: (1) discriminating between risk and mispricing explanations for return anomalies; (2) estimating the implied cost of capital; (3) inferring investors' perceptions of the earnings process; (4) understanding the importance of trading costs and firm size; and (5) improving the construction of characteristic-based trading strategies. My discussion highlights important challenges facing the literature and offers suggestions for improving empirical tests. (C) 2010 Elsevier B.V. All rights reserved.